XLU Options History — May 2007

In May 2007, XLU traded between $20.54 and $21.41. ATM implied volatility averaged 13.5%. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.5% (HV 20d: 10.1%). Max pain ranged from $20.50 to $21.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 12.65.

Notable Days

  • 2007-05-25: Highest Volume — 153,398 contracts
  • 2007-05-08: Largest IV spike — 24.8% change
  • 2007-05-29: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.08$20.54$21.41$21.00$20.89
Max Pain$20.75$20.50$21.00$20.50$21.00
ATM IV13.5%10.4%18.1%12.6%14.8%
Expected Move4.0%3.5%5.2%3.6%4.2%
HV 20d10.1%8.3%13.3%8.4%13.1%
HV 60d14.4%12.3%15.3%15.0%12.3%
Term Structure0.1%-1.6%2.1%0.6%0.3%
VWIV14.4%12.2%18.2%12.2%15.9%
Skew 25d3.3%1.9%5.5%3.0%1.9%
Skew 10d5.9%1.2%10.1%8.2%4.8%
Call IV 25d12.1%10.4%15.1%10.7%14.7%
Put IV 25d15.4%13.1%19.4%13.8%16.6%
Bid-Ask Spread %25.8517.4151.8331.4720.16
Gamma HHI0.250.200.310.310.21
Net GEX-11.9M-21.3M-6.7M-9.9M-17.3M
Net DEX-34.6M-103.2M156.9M-57.7M33.8M
Net VEX-1.2M-1.7M-942.9K-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.650.1269.260.194.78
Total Volume24,965.545794153,3989,32013,810
Total OI439,008.636386,736555,032386,736531,342

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$21.00$20.5012.6%3.6%8.4%0.0%12.2%3.0%0.6%-9.9M-57.7M-1.1M0.1931.477,8541,466110,282276,454
2007-05-02$21.11$20.5012.3%3.5%8.5%0.0%13.3%2.6%0.6%-8.2M-79.4M-1.1M1.6725.637421,242113,726275,000
2007-05-03$21.09$20.5012.2%3.5%8.3%0.0%15.0%3.5%0.9%-8.7M-78.1M-1.1M1.1326.001,8582,102114,082276,074
2007-05-04$21.05$20.5010.4%3.8%8.3%0.0%13.7%3.4%1.3%-8.0M-87.9M-1.0M2.0751.831,7683,652115,734278,002
2007-05-07$21.30$20.5010.5%3.6%8.9%0.0%13.8%2.5%0.4%-6.7M-100.1M-965.5K0.4517.69630284115,088281,426
2007-05-08$21.20$20.5013.1%3.9%9.2%0.0%12.5%2.9%-0.0%-8.4M-85.7M-1.0M0.7422.422,5421,874114,906281,662
2007-05-09$21.21$20.5012.3%3.9%9.0%0.0%13.6%3.4%-0.1%-7.2M-92.5M-994.7K0.1237.8971084116,938282,362
2007-05-10$21.00$20.5013.8%4.0%9.8%0.0%12.9%3.2%-0.6%-10.2M-70.2M-1.0M12.1528.055366,512117,040282,358
2007-05-11$21.10$20.5013.1%3.8%9.8%0.0%13.2%4.4%0.2%-8.6M-95.5M-942.9K69.2628.4729020,086117,202288,624
2007-05-14$21.18$20.5014.1%4.0%9.7%0.0%14.1%3.5%-1.3%-9.3M-92.8M-1.0M0.2120.671,896400117,158308,654
2007-05-15$21.30$20.5012.7%3.6%9.8%0.0%13.6%2.5%0.9%-6.7M-103.2M-976.0K68.6623.2383457,260117,826308,736
2007-05-16$21.35$21.0012.4%3.6%9.5%0.0%14.1%4.1%0.6%-9.9M-96.3M-1.0M5.1448.001,5187,810117,796338,016
2007-05-17$21.30$21.0013.4%3.8%9.4%0.0%14.2%3.6%0.0%-15.0M-61.4M-1.1M0.9624.88614590117,684356,932
2007-05-18$21.41$21.0012.4%3.6%9.2%0.0%17.4%4.5%2.1%-9.9M-84.0M-1.1M29.8022.051,70050,666117,682342,068
2007-05-21$21.39$21.0012.6%3.6%9.0%0.0%13.4%2.9%-0.0%-10.7M-50.3M-1.1M1.4917.411,1861,772105,928307,080
2007-05-22$21.34$21.0013.2%3.8%8.7%0.0%12.9%2.5%0.5%-11.4M-41.0M-1.1M38.6219.2069626,882106,526305,416
2007-05-23$21.01$21.0013.7%3.9%10.4%0.0%13.5%2.5%0.0%-16.8M20.5M-1.3M0.5921.0930,32217,938106,698321,078
2007-05-24$20.54$21.0016.5%4.7%13.1%0.0%16.0%2.6%-0.7%-17.9M123.2M-1.5M3.5019.4910,13035,496135,414336,990
2007-05-25$20.55$21.0017.6%5.0%12.8%0.0%18.2%4.4%-1.1%-20.5M156.9M-1.6M4.0524.9230,384123,014139,676358,640
2007-05-29$20.61$21.0018.1%5.2%12.8%0.0%16.0%5.5%-1.6%-21.3M115.9M-1.7M1.4120.485,2167,370155,442393,416
2007-05-30$20.86$21.0016.1%4.6%13.3%0.0%16.9%4.0%-0.3%-19.9M65.5M-1.7M31.2117.562,09665,410157,612397,420
2007-05-31$20.89$21.0014.8%4.2%13.1%0.0%15.9%1.9%0.3%-17.3M33.8M-1.5M4.7820.162,38811,422159,080372,262